Firstly what distrobution are you running? (some options are harder to get working on more customizable/build it your self distrobutions).
Anyway, the best 2 ways are to either use WINE which is an abstraction layer to allow windows apps to run inside linux. Its fairly easy to get working but quite a few things may just not work at all.
You can also pay for Cedega (the old WINEx) which takes WINE's open sorce work and adds a lot of work to making specific games work (with support for opengl2 i think currently).
Both are quite tricky to get some things to work (like i have never even tried to get grid to work on linux) but once you get the hang of them a fair few games should run.
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